Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0269
Annualized Std Dev 0.1917
Annualized Sharpe (Rf=0%) -0.1404

Row

Daily Return Statistics

Close
Observations 4715.0000
NAs 1.0000
Minimum -0.2187
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0043
Maximum 0.1897
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0121
Skewness -0.4971
Kurtosis 59.8024

Downside Risk

Close
Semi Deviation 0.0088
Gain Deviation 0.0098
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.7485
Historical VaR (95%) -0.0138
Historical ES (95%) -0.0282
Modified VaR (95%) -0.0070
Modified ES (95%) -0.0070
From Trough To Depth Length To Trough Recovery
2007-05-03 2008-12-15 NA -0.7485 3496 410 NA
2002-07-18 2004-05-13 2005-07-28 -0.1752 764 460 304
2006-02-01 2006-02-06 2006-10-31 -0.1046 190 4 186
2005-09-14 2005-10-18 2006-01-03 -0.0799 77 25 52
2007-01-03 2007-02-22 2007-03-14 -0.0359 49 35 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA -0.5 0 -0.6 -1.5 1 -0.2 0.9 -0.9
2003 -0.3 0 0 -0.3 -0.2 0.6 -1.6 0.8 0.2 0.4 -0.5 0.3 -0.6
2004 0.1 -0.5 0 0.8 -0.2 0.6 0 0.3 -0.1 0.1 0.1 -0.2 0.9
2005 0.1 0.4 0.6 0 0.9 0 -0.5 0.3 0 -0.1 0.9 -0.1 2.7
2006 -2.4 0.1 0.5 0.5 0.5 0.5 0.1 0.1 0.5 0.6 0.1 1 2
2007 0.5 0.1 0.1 0.5 0.4 0.9 -0.1 0.5 0.3 -0.3 -0.8 -0.7 1.4
2008 0.2 -3 0.3 0.1 -0.3 -0.8 -0.4 0 3.3 3.5 -11.3 6.2 -3.3
2009 1.4 0 4.3 -3.5 -0.8 -3.7 -1.5 2.1 0.3 -0.5 -0.7 0 -2.9
2010 -0.5 -1.3 0.6 -1.4 -0.4 1 0 0.7 0.2 0.7 -0.7 0.6 -0.6
2011 1.2 0.9 0.5 0.3 0.8 0.4 2.1 0 0.5 0.5 0.4 0.1 8
2012 0.5 0.9 -0.2 1 0.4 0.1 0.6 0.2 1.6 -0.2 0.1 1 6
2013 0.2 0.3 -0.1 0.2 -2.5 0.4 -0.3 0 1.1 -1.1 0 -0.2 -2.1
2014 0.9 0.7 -0.2 0 0.7 0.8 0 -0.1 0.1 0.2 0.3 0.4 3.9
2015 0.3 0.8 0.4 -0.3 0.8 0.5 0.3 -0.2 0.9 0.5 0.6 0.6 5.5
2016 0.2 0.1 0 0.4 0.9 1.4 -0.3 -1.1 0.8 -0.6 -1.4 0.2 0.6
2017 -0.4 -0.7 0.2 0 0.4 0.3 -0.4 0.2 0 -0.3 0.3 -0.5 -0.9
2018 -0.1 0.1 0.9 0.2 -0.5 -0.2 0.2 1.4 0.9 0.3 0.3 -0.3 3.2
2019 1.2 0.1 -0.4 -0.1 1.5 0 0.5 0.5 0 0.8 0.7 -1.1 3.8
2020 0.4 -1.1 -0.7 -1.8 1.1 0.6 0.5 1.2 0 0.3 -0.5 0.3 0.2
2021 0.6 1 0.2 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-06-26  15.0 SPY    97.7  0.0016  -0.0468  -0.096    -0.147   -0.202   -0.269       NA <NA>     NA    NA       NA
2 2002-06-27  15.1 SPY    99.4  0.0175  -0.0176  -0.0733   -0.132   -0.197   -0.253       NA <NA>     NA    NA       NA
3 2002-06-28  15.2 SPY    99.0 -0.0047  -0.0032  -0.0751   -0.136   -0.194   -0.250       NA <NA>     NA    NA       NA
4 2002-07-01  15.1 SPY    97.0 -0.0195  -0.0278  -0.095    -0.148   -0.203   -0.263       NA <NA>     NA    NA       NA
5 2002-07-02  15.1 SPY    95.0 -0.0212  -0.0265  -0.0901   -0.161   -0.219   -0.288       NA <NA>     NA    NA       NA
6 2002-07-03  15.1 SPY    95.5  0.0057  -0.0226  -0.0872   -0.152   -0.214   -0.290       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart